Time series analyis 
Open Source  
AC  Accelerator Oscillator  ✔ 
ADO  Accumulation/Distribution Oscillator  ✔ 
AGC  Automatic gain control  ✔ 
ADX  Average Directional Movement Index  ✔ 
ADXR  Average Directional Movement Rating  ✔ 
Alligator  Alligator 3line indicator  ✔ 
ALMA  Arnaud Legoux Moving Average  ✔ 
Amplitude  Amplitude of series  ✔ 
AO  Awesome Oscillator  ✔ 
APO  Absolute Price Oscillator  ✔ 
Aroon  Aroon Indicator  ✔ 
AroonOsc  Aroon Oscillator  ✔ 
ATR  Average True Range, original  ✔ 
ATRS  Average True Range, simple MA  ✔ 
AvgPrice  Average Price  ✔ 
BandPass  Bandpass filter  
BBands  Bollinger Bands  ✔ 
BBOsc  Bollinger Bands oscillator  ✔ 
Beta  Beta value  ✔ 
BOP  Balance Of Power  ✔ 
Butterworth  Butterworth filter  ✔ 
CBI  Cold Blood Index  
CCI  Commodity Channel Index  ✔ 
CCYI  Correlation Cycle Indicator  ✔ 
CCYIR  Correlation Cycle Indicator rate of change  ✔ 
CCYIState  Correlation Cycle Market State  ✔ 
ccyMax  Strongest Forex pair  ✔ 
ccyMin  Weakest Forex pair  ✔ 
ccyReset  Initialize currency strength  ✔ 
ccySet  Define currency strength  ✔ 
ccyStrength  Get currency strength  ✔ 
CDL...  60 traditional candle patterns  ✔ 
CGOsc  Center Of Gravity oscillator  ✔ 
ChandelierLong  Chandelier exit long  ✔ 
ChandelierShort  Chandelier exit short  ✔ 
Chikou  Ichimoku Chikou line  ✔ 
CI  Choppiness Index  ✔ 
CMO  Chande Momentum Oscillator  ✔ 
concave  Curve concavity  
ConnorsRSI  Connors RSI indicator  ✔ 
Coral  Coral indicator  ✔ 
Correlation  Pearson correlation coefficient  ✔ 
COT  Commitment Of Traders report  ✔ 
COT_CommercialPos  COT commercials net position  ✔ 
COT_CommercialIndex  COT index  ✔ 
COT_OpenInterest  COT open interest  ✔ 
Covariance  Covariance coefficient  ✔ 
crossOver  Curve cross over  
crossOverF  Fuzzy cross over  
crossUnder  Curve cross under  
crossUnderF  Fuzzy cross under  
CTI  Correlation Trend Indicator  ✔ 
dayClose  Day close  ✔ 
dayHigh  Day high  ✔ 
dayLow  Day low  ✔ 
dayOpen  Day open  ✔ 
dayPivot  Day pivot  ✔ 
DChannel  Donchian Channel  ✔ 
DCOsc  Donchian Channel Oscillator  ✔ 
Decycle  Ehlers' Decycler  ✔ 
DEMA  Double Exponential Moving Average  ✔ 
Divergence  Pricve / Oscillator peak line divergence  ✔ 
DominantPeriod  Fundamental price oscillation  
DominantPhase  Fundamental price phase  
DPO  Detrended Price Oscillator  ✔ 
DX  Directional Movement Index  ✔ 
EMA  Exponential Moving Average  ✔ 
ER  Efficiency Ratio  ✔ 
FIR3  Finite Impulse Response filter, 3 taps  
FIR4  Finite Impulse Response filter, 4 taps  
FIR6  Finite Impulse Response filter, 6 taps  
falling  Curve falling  
fallingF  Curve falling, fuzzy  
findIdx  Find element  
Fisher  Fisher transform  ✔ 
FisherInv  Inverse Fisher transform  ✔ 
FisherN  Fisher transform with normalization  ✔ 
FractalDimension  Fractal Dimension  ✔ 
FractalHigh  High Fractal indicator  ✔ 
FractalLow  Low Fractal indicator  ✔ 
frechet  Frechet pattern detection  
Gauss  Gauss filter  
HAClose  Haiken Ashi Close  ✔ 
HAHigh  Haiken Ashi High  ✔ 
HALow  Haiken Ashi Low  ✔ 
HAOpen  Haiken Ashi Open  ✔ 
HH  Highest High  ✔ 
HMA  Hull Moving Average  ✔ 
HighPass  Wide highpass filter  
HighPass1  1pole highpass filter  
HighPass2  2pole highpass filter  ✔ 
HTDcPeriod  Hilbert transform cycle period  ✔ 
HTDcPhase  Hilbert transform cycle phase  ✔ 
HTPhasor  Hilbert transform phasor components  ✔ 
HTSine  Hilbert transform sine wave  ✔ 
HTTrendline  Hilbert transform instantaneous trendline  ✔ 
HTTrendMode  Hilbert transform trend indicator  ✔ 
Hurst  Hurst exponent  ✔ 
IBS  Internal Bar Strength  ✔ 
Ichimoku  Ichimoku indicator  ✔ 
KAMA  Kaufman Adaptive Moving Average  ✔ 
KAMA2  KAMA with individual settings  ✔ 
Keltner  Keltner channel  ✔ 
Laguerre  Laguerre lowpass filter  ✔ 
line  Line position at a given bar  ✔ 
LinearReg  Linear regression  ✔ 
LinearRegAngle  Linear regression angle  ✔ 
LinearRegIntercept  Linear regression intercept  ✔ 
LinearRegSlope  Linear regression slope  ✔ 
LL  Lowest Low  ✔ 
LowPass  Lowpass filter  
LSMA  Least Squares Moving Average  ✔ 
MACD  Moving Average Convergence/Divergence  ✔ 
MACDExt  MACD with various MA types  ✔ 
MACDFix  MACD with standard parameters  ✔ 
MAMA  MESA Adaptive Moving Average  ✔ 
MovingAverage  Moving Average with given type  ✔ 
MovingAverage VariablePeriod 
Moving Average with variable period  ✔ 
MatchIndex  Index of best match  ✔ 
MaxVal  Highest value  ✔ 
MaxIndex  Index of highest value  ✔ 
Median  Median filter  
MedPrice  Center price of candle  ✔ 
MidPoint  Center value of period  ✔ 
MidPrice  Center price of period  ✔ 
MinVal  Lowest value  ✔ 
MinIndex  Index of lowest value  ✔ 
MinMax  Lowest and highest values  ✔ 
MinMaxIndex  Indexes of lowest and highest values  ✔ 
MMI  Market Meanness Index  ✔ 
MinusDI  Minus Directional Indicator  ✔ 
MinusDM  Minus Directional Movement  ✔ 
Mode  Most frequent value  ✔ 
Mom  Momentum  ✔ 
Moment  Mean, variance, skew, kurtosis  ✔ 
MovingAverage  Moving Average with various MA types  ✔ 
NATR  Normalized Average True Range  ✔ 
Normalize  Normalize to 1 .. +1  ✔ 
NumInRange  Count ranges in interval  ✔ 
NumDn  Count of falling elements  ✔ 
NumRiseFall  Length of streak  ✔ 
NumUp  Count of rising elements  ✔ 
NumWhiteBlack  Difference of white and black candles  ✔ 
OBV  On Balance Volume  ✔ 
peak  Curve peak  
peakF  Curve peak, fuzzy  
Percentile  Percentile  
PercentRank  Percent rank  
Pivot  Pivot point  ✔ 
PlusDI  Plus Directional Indicator  ✔ 
PlusDM  Plus Directional Movement  ✔ 
polyfit  Polynomial regression  
polynom  Regression polynomial  
PPO  Percentage Price Oscillator  ✔ 
predict  Curve peak / crossover prediction  
predictMove  Predict price move by statistics  ✔ 
predictSeason  Predict price move by seasonal analysis  ✔ 
ProfitFactor  Ratio of positive to negative returns  ✔ 
QLSMA  Quadratic Least Squares Moving Average  ✔ 
R2  Determination coefficient  
Resistance  Resistance line  ✔ 
RET  Rate of change between two points  ✔ 
rising  Curve rising  
risingF  Curve rising, fuzzy  
ROC  Rate of change  ✔ 
ROCP  Rate of change percentage  ✔ 
ROCR  Rate of change ratio  ✔ 
ROCL  Logarithmic return  ✔ 
ROCR100  Rate of change ratio, 100 scale  ✔ 
Roof  Ehlers' roofing filter  ✔ 
RSI  Relative Strength Index, original  ✔ 
RSIS  Relative Strength Index, simple MA  ✔ 
RVI  Ehlers' Relative Vigor Index  ✔ 
SAR  Parabolic SAR  ✔ 
SemiMoment  Mean, downside variance, skew, kurtosis  ✔ 
SentimentLW  Williams' Market Sentiment  ✔ 
SentimentG  Genesis Sentiment Index  ✔ 
ShannonEntropy  Randomness metric  ✔ 
ShannonGain  Expected gain rate  ✔ 
Sharpe  Sharpe ratio  ✔ 
SIROC  Smoothed Rate of Change  ✔ 
slope  Line through minima or maxima  ✔ 
SMA  Simple Moving Average  ✔ 
SMAP  Average of positive values  ✔ 
SMom  Smoothed Momentum  ✔ 
Smooth  Ehlers' supersmoother  ✔ 
Sortino  Sortino ratio  ✔ 
Spearman  Spearman's rank correlation coefficient  ✔ 
Spectrum  Spectral analysis  
StdDev  Standard deviation  ✔ 
Stoch  Stochastic oscillator  ✔ 
StochEhlers  Ehlers' predictive stochastic  ✔ 
StochF  Stochastic Fast  ✔ 
StochRSI  Stochastic RSI  ✔ 
Sum  Sum of elements  ✔ 
SumDn  Sum of falling elements  ✔ 
SumUp  Sum of rising elements  ✔ 
Support  Support line  ✔ 
T3  Triple smoothed MA  ✔ 
TEMA  Triple EMA  ✔ 
touch  Curve touches another  
Trima  Triangular Moving Average  ✔ 
Trix  TEMA rate of change  ✔ 
TrueRange  True range  ✔ 
TSF  Time Series Forecast  ✔ 
TSI  Trend Strength Index  
TypPrice  Typical price  ✔ 
UltOsc  Ultimate Oscillator  ✔ 
UO  Universal Oscillator  ✔ 
Variance  Variance  ✔ 
valley  Curve valley  
valleyF  Curve valley, fuzzy  
Volatility  Annualized volatility  ✔ 
VolatilityC  Chaikin Volatility indicator  ✔ 
VolatilityMM  Min/Max volatility  ✔ 
VolatilityOV  Empirical volatility  ✔ 
WCLPrice  Weighted Close Price  ✔ 
WillR  Williams' Percent Range  ✔ 
WMA  Weighted Moving Average  ✔ 
yield  Riskfree interest rate  ✔ 
ZigZag  ZigZag indicator  ✔ 
ZMA  Zerolag Moving Average  ✔ 
Markets & trading 

adviseLong/Short  Machine learning indicator  
algo  Select algorithm  
asset  Select asset  
assetAdd  Add asset to list  
assetHistory  Download price history  
assetList  Select asset list  
assetSource  Set up online data source  
assetType  Type of asset  
assign  Convert portfolio weights  
brokerAccount  Retrieve account status  
brokerAsset  Download asset parameters  
brokerCommand  Send special command to broker  
brokerRequest  Send a REST API request to broker  
brokerTrades  Download list of open positons  
cancelTrade  Undo trade  
combo  Combine options to a combo  ✔ 
comboAdd  Add option to a combo  
comboContract  Return contract of a combo leg  ✔ 
comboLeg  Select a combo leg  
comboLegs  Return number of combo legs  
comboMargin  Calculate the margin cost of a combo  ✔ 
comboStrike  Return strike of given combo leg  ✔ 
comboPremium  Calculate combo premium  ✔ 
comboProfit  Calculate combo profit  ✔ 
comboRisk  Calculate maximum possible loss  ✔ 
comboType  Detect type of a combo  ✔ 
contract  Select option/future contract  
contractCheck  Check for termination  
contractCPD  Price probability analysis  
contractDays  Contract duration  
contractDelta  Delta value from strike  ✔ 
contractExercise  Exercise option  
contractFind  Find contract by parameter  
contractIntrinsic  Intrinsic value  ✔ 
contractMargin  Calculate contract margin  ✔ 
contractNext  Next contract in chain  
contractPosition  Get current position size  
contractPrice  Get current value  
contractProfit  Get current profit/loss  
contractRecord  Save contract chain to history  ✔ 
contractRoll  Roll expired contract forward  ✔ 
contractSellUnderlying  Sell assigned stock from exercised contracts  ✔ 
contractStrike  Strike value from Delta  ✔ 
contractUnderlying  Unadjusted underlying price  ✔ 
contractUpdate  Load contract chain  
contractVal  Calculate option value  ✔ 
contractVol  Calculate implied volatiltiy  ✔ 
cpd  Predicted price probability  
cpdv  Price at given probability  
dataDownload  Market data from online source  
dataFromCSV  Market data from CSV file  
dataFromQuandl  Market reports from Quandl™  ✔ 
distribute  Calculate portfolio weights  
enterLong/Short  Open position  
enterTrade  Add position from template  
exitLong/Short  Close one or several positions  
exitTrade  Close selected position  
for(trades...)  Enumerate trades, assets, algos  
frame  Timeframe state  
frameSync  Timeframe synchronization  
knapsack  Optimize asset amounts  
loadStatus  Load system status  
login  Connect to broker  
loop  Loop through assets/algos  
marketVal  Bar value (spread)  
marketVol  Bar value (volume)  
markowitz  Meanvariance optimization  
markowitzReturn  Max return for given variance  
markowitzVariance  Min variance for given return  
optimize  Optimal parameter value  
orderCVD  Order flow analysis  
orderUpdate  Read order book  
price  Mean price at bar  
priceClose  Close at bar  
priceHigh  High at bar  
priceLow  Low at bar  
priceOpen  Open at bar  
priceQuote  Enter current price  
priceRecord  Save price to history  
priceSet  Modify price at bar  
results  Statistics of trade results  
saveStatus  Save system status  
seriesO/H/L/C  Price series  
suspended  Trading permission  
tradeUpdate  Resize or update trade parameters  
tradeUpdatePool  Synchronize virtual and pool trades  
Math & misc 

abs  Magnitude  
aboveF  Fuzzy >=  
andF  Fuzzy && (and)  
asin  Arc sine  
acos  Arc cosine  
atan  Arc tangent  
atan2  Arc tangent, high precision  
belowF  Fuzzy <=  
between  Range check  
betweenF  Fuzzy range check  
cdf  Gaussian cumulative distribution  
ceil  Round up  
center  Center about median  
changed  Change of value  ✔ 
clamp  Limits  
compress  Scale to +/100  
cos  Cosine  
cosh  Hyperbolic cosine  
cum  Accumulation function  ✔ 
diff  Change since last bar  
dnorm  Gaussian probability  
equalF  Fuzzy ==  
erf  Statistical error function  
exp  Exponential  
filter  1D covolution filter  
fix0  Safe division  ✔ 
floor  Round down  
fmod  Fractional modulo  
fuzzy  Defuzzyfication  
genNoise  Random noise  ✔ 
genSine  Sine wave chirp  ✔ 
genSquare  Square wave chirp  ✔ 
hmac  Cryptographic hash  
ifelse  Conditional assignment  
invalid  Invalid value  
log  Logarithm  
max  Maximum  
min  Minimum  
modf  Fractional part  
normalize  Normalize to +/100  
notF  Fuzzy ! (not)  
once  First occurrence  
orF  Fuzzy  (or)  
pow  Nth power, Nth root  
qnorm  Gaussian distribution value  
random  Random number generator  
ref  Value at bar  ✔ 
renorm  Multiply and normalize  
round  Round to next integer  
roundto  Round to next step  
scale  Center and scale to +/100  
seed  Random number initialization  
sign  Sign  
sin  Sine  
sinh  Hyperbolic sine  
sqrt  Square root  
tan  Tangent  
tanh  Hyperbolic tangent  
valuewhen  Conditional array access  ✔ 
zscore  ZScore  
Time / date 

at  Event at time of day  ✔ 
barssince  Bars since condition became true  ✔ 
day  Day of month  
dmy  YYYYMMDD to OLE time/date  ✔ 
dom  Days in month  
dow  Day of week  
dst  Daylight saving time  
hour  UTC hour  
ldow  Day of week at time zone  
lhour  Hour at time zone  
ltod  HHMM at time zone  
market  Market open time  
minute  Minute  
minutesAgo  Bar distance in minutes  
minutesWithin  Bar length in minutes  
month  Month at given bar  
mtu  OLE time/date from Unix time  
ndow  Nth weekday of month  
nthDay  Date of nth weekday of month  ✔ 
second  Second with microseconds  
tdm  Trading day of month  
timeOffset  Bar at given time  
tom  Trading days in month  
tod  HHMM time of day  
tow  DHHMM time of week  
ltow  DHHMM at time zone  
utm  Unix time  
wdate  OLE time/date  
wdateBar  OLE time/date at bar  
wdatef  OLE time/date from string  
week  Week number  
workday  Workday or holiday  
year  Year at given bar  
ymd  OLE time/date to YYYYMMDD  ✔ 
Data structures 

atof  String to var  
atoi  String to int  
conv  Convert array or time series  
dataAppend  Extend dataset  
dataAppendRow  Extend dataset by row  
dataChart  Plot dataset content  
dataClip  Remove records  
dataCol  Extract data column  
dataCompress  Remove duplicates  
dataFind  Find date/time in dataset  
dataLoad  Load dataset  
dataInt  Get integer from field  
dataMerge  Merge two datasets  
dataNew  Create dataset  
dataParse  Create dataset from CSV  
dataParseJSON  Create OHLC dataset from JSON  
dataSave  Save dataset  
dataSaveCSV  Save dataset to CSV  
dataSet  Set dataset field  
dataSize  Get dataset format  
dataSort  Sort dataset by date  
dataStr  Get string from field  
dataVar  Get variable from field  
filter  Convolution filter  
matrix  Matrix / vector creation  
me  Matrix element  
matAdd  Matrix addition  
matMul  Matrix multiplication  
matScale  Matrix scaling  
matSet  Matrix copy  
matSub  Matrix subtraction  
matTrans  Matrix transpose  
randomize  Shuffle array or time series  
renorm  Normalize array  
ref  Reference past value  
rev  Reverse array or time series  
series  Create time series  
sftoa  Convert number to string  
shift  Shift array or time series  
sortData  Sort array  
sortIdx  Create sort index  
sortRank  Create ranking list  
strcat  Append string  
strcmp  Compare strings  
strcpy  Copy string  
strlen  String length  
strstr  Find substring  
strchr  Find character  
strrchr  Find character from end  
strtok  Tokenize string  
strvar  Variable from ini string  
strtext  Text from ini string  
strdate  Time/date to string  
strf  Variables to string  
strx  Replace substrings  
strxc  Replace characters  
strmid  Strip string  
strcount  Count characters  
strw  Wide string  
stridx  String to index  
strxid  Index to string  
strtr  Trade ID string  
strcon  Contract ID string  
sprintf  Print into string  
sscanf  Parse string  
ve  Vector element  
Input / output 

color  Define color range  
colorScale  Brighten / darken color  
dataParse  Create dataset from CSV  
dataParseJSON  Create OHLC dataset from JSON  
Send email  
file_append  Append data to end of file  
file_appendfront  Append data to begin of file  
file_content  Read content of file  
file_copy  Copy file  
file_date  File date  
file_delete  Delete file  
file_length  File size  
file_next  Read directory  
file_read  Read file to string  
file_select  Open file dialog box  
file_write  Write string to file  
ftp_download  Download file from FTP server  
ftp_upload  Upload file to FTP server  
ftp_getdate  Get file date and size from FTP server  
ftp_stop  Stop the current FTP transfer  
ftp_size  Size of the received file  
ftp_sent  Size of the sent file  
ftp_timestamp  Get file timestamp  
ftp_status  FTP transfer status  
ftp_log  Enables FTP logging  
getvar  Get systemwide variable  
http_transfer  Load data from website  
http_request  Send HTTP request  
http_post  Start HTTP POST transfer  
http_proxy  Define a proxy server  
http_status  HTTP transfer status  
http_result  Retrieve received file  
http_free  Stop current HTTP transfer  
keys  Send keystrokes to window  
mouse  Mouse position  
msg  Message box  
panel  Create user panel from spreadsheet  
panelFix  Determine panel scroll area  
panelGet  Get data from user panel  
panelLoad  Load panel state  
panelMerge  Merge cells on panel  
panelSave  Save panel state  
panelSet  Update user panel or action scrollbox  
plot  Plot curve  
plotBar  Plot histogram bar  
plotBuyHold  Plot a buyandhold benchmark  ✔ 
plotChart  Update histogram  
plotContract  Plot option payoff diagram  ✔ 
plotCorrelogram  Plot autocorrelation histogram  ✔ 
plotData  Get plot data for export  
plotDay  Daily seasonal analysis  ✔ 
plotDayProfit  Daily profit histogram  ✔ 
plotGraph  Plot symbol  
plotHeatmap  Plot heatmap matrix  ✔ 
plotHistogram  Plot a general histogram  ✔ 
plotMAEGraph  Max adverse excursions histogram  ✔ 
plotMAEPercentGraph  Max adverse excursions in percent  ✔ 
plotMFEGraph  Max favorable excursion histogram  ✔ 
plotMFEPercentGraph  Max favorable excursions in percent  ✔ 
plotMonth  Monthly seasonal analysis  ✔ 
plotMonthProfit  Monthly profit histogram  ✔ 
plotPriceProfile  Price difference histogram  ✔ 
plotQuarterProfit  Quarterly profit histogram  ✔ 
plotTradeProfile  Profit distribution histogram  ✔ 
plotWeek  Weekly seasonal analysis  ✔ 
plotWeekProfit  Weekly profit histogram  ✔ 
plotWFOCycle  WFO cycle analysis  ✔ 
plotWFOProfit  Percycle profit histogram  ✔ 
plotYear  Annual seasonal analysis  ✔ 
printf  Print message  
Print to target  
progress  Progress bar  
putvar  Set systemwide variable  
pyInt  Integer from Python variable  
pySet  Send variables to Python  
pyStart  Start Python session  
pyVar  Double float from Python variable  
pyVec  Array from Python variable  
pyX  Execute Python code  
Rd  Double float from R expression  
Ri  Integer from R expression  
Rrun  R status  
Rset  Send variables to R  
Rstart  Start R session  
Rv  Array from R expression  
Rx  Execute R expression  
report  Generate performance report  
slider  Slider input  
sound  Play WAV file  
window  Find active window  
System 

call  Run function at event  
exec  Run external program  
free  Free memory area  
GetProcAddress  Get DLL function  
ignore  Suppress error message  
ifelse  Conditional assignment  
is  System flag state  
isf  Flag state of a variable  
LoadLibrary  Open DLL  
lock  Protect code against interruption  
malloc  Allocate memory area  
memcmp  Compare memory  
memcpy  Copy memory area  
memory  Get memory allocation  
memset  Fill memory area  
of  Enumerate elements in a loop  
once  First condition change  
quit  Terminate simulation  
realloc  Change memory area  
require  Require software version  
resf  Reset flag of a variable  
set  Set or reset system flag  
setf  Set flag of a variable  
timer  Performance timer  
unlock  Unlock code  
version  Software version  
wait  Pause  
watch  Debugging info  
Win32 API  Windows API functions  
zalloc  Allocate temporary memory space  
zInit  Initialize multiprocess communication  
zClose  Stop process  
zData  Exchange process information  
zOpen  Start process  
zStatus  Get process status  
Optional usersupplied functions 

bar  Special bar definition (Renko, Kagi, etc)  
click  Button click function  
callback  Callback for broker API and messages  
cleanup  Run once at the end  
error  Run at any error  
evaluate  Evaluate strategy results  
manage  Trade micromanagement  
main  Run once at the begin.  
neural  External machine learning and prediction  
objective  Parameter optimization target  
order  Special order transmission  
parameters  Parameter optimization setup  
run  Run at any bar  
tick  Run at any incoming price  
tock  Run at fixed time intervals  
